What filing status must I change to at work if I recently married?

You do not have to change anything if you don't want to, you may if you wish, change your filing status from single to married. Also you can declare various numbers of dependent. Many people today do not want to "loan" the IRS their money and prefer to get a bigger check each week and get less at the end of the year, you do this by adjusting the number of dependents you declare.